Question Details
Exhibit T19.1 Return statistics Annual returns Correlations Mean Mean Std dev SI(W) Beta(W) CA CH GE IN JA UK US Canada (CA) 11.0% 28.340 1.11 China...
Annual returns
Correlations
Mean
Mean
Std dev
SI(W) Beta(W)
CA
CH
GE
IN
JA
UK
US
Canada (CA)
11.0%
28.1%
0.340
1.11
China (CH)
18.0%
42.1%
0.390
1.18
0.72
Germany (GE)
9.1%
31.1%
0.240
1.47
0.76
0.65
India (IN)
22.5%
45.6%
0.460
1.29
0.70
0.67
0.64
Japan (JA)
3.5%
20.0%
0.100
0.70
0.60
0.51
0.56
0.56
U.K. (UK)
7.2%
23.5%
0.240
1.00
0.82
0.66
0.87
0.63
0.61
U.S. (US)
6.6%
19.6%
0.260
0.93
0.81
0.63
0.88
0.62
0.57
0.85
U.S. treasuries
1.5%
1.7%
0.000
0.00
0.05
0.14
0.04
0.08
0.00
0.03
-0.05
Source: Annual USD net returns to Morgan Stanley Capital International (msci.com) indices. Sharpe
Indices (μ
i
– μ
F
)/σ
i
are based on annual returns and Treasury yields from the U.S. Federal Reserve
(federalreserve.gov). Betas and correlations are based on monthly returns.
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